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1. Tracy–Widom distribution for the edge eigenvalues of elliptical model

   https://doi.org/10.1093/imaiai/iaaf004  

   Ding, Xiucai; Xie, Jiahui (March 2025, Information and Inference: A Journal of the IMA)

   Abstract In this paper, we study the largest eigenvalues of sample covariance matrices with elliptically distributed data. We consider the sample covariance matrix $$Q=YY^{*},$$ where the data matrix $$Y \in \mathbb{R}^{p \times n}$$ contains i.i.d. $$p$$-dimensional observations $$\textbf{y}_{i}=\xi _{i}T\textbf{u}_{i},\;i=1,\dots ,n.$$ Here $$\textbf{u}_{i}$$ is distributed on the unit sphere, $$\xi _{i} \sim \xi $$ is some random variable that is independent of $$\textbf{u}_{i}$$ and $$T^{*}T=\varSigma $$ is some deterministic positive definite matrix. Under some mild regularity assumptions on $$\varSigma ,$$ assuming $$\xi ^{2}$$ has bounded support and certain decay behaviour near its edge so that the limiting spectral distribution of $$Q$$ has a square root decay behaviour near the spectral edge, we prove that the Tracy–Widom law holds for the largest eigenvalues of $$Q$$ when $$p$$ and $$n$$ are comparably large. Based on our results, we further construct some useful statistics to detect the signals when they are corrupted by high dimensional elliptically distributed noise. 

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2. Path Properties of a Generalized Fractional Brownian Motion

   https://doi.org/10.1007/s10959-020-01066-1  

   Ichiba, Tomoyuki; Pang, Guodong; Taqqu, Murad S. (January 2021, Journal of Theoretical Probability)

   null (Ed.)

   The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power-law shape function and non-stationary noises with a power-law variance function. In this paper, we study sample path properties of the generalized fractional Brownian motion, including Hölder continuity, path differentiability/non-differentiability, and functional and local law of the iterated logarithms. 

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3. Fractional Brownian motion, the Matérn process, and stochastic modeling of turbulent dispersion

   https://doi.org/10.5194/npg-24-481-2017  

   Lilly, Jonathan M.; Sykulski, Adam M.; Early, Jeffrey J.; Olhede, Sofia C. (January 2017, Nonlinear Processes in Geophysics)

   Stochastic processes exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm), with the spectral slope at high frequencies being associated with the degree of small-scale roughness or fractal dimension. However, a broad class of real-world signals have a high-frequency slope, like fBm, but a plateau in the vicinity of zero frequency. This low-frequency plateau, it is shown, implies that the temporal integral of the process exhibits diffusive behavior, dispersing from its initial location at a constant rate. Such processes are not well modeled by fBm, which has a singularity at zero frequency corresponding to an unbounded rate of dispersion. A more appropriate stochastic model is a much lesser-known random process called the Matérn process, which is shown herein to be a damped version of fractional Brownian motion. This article first provides a thorough introduction to fractional Brownian motion, then examines the details of the Matérn process and its relationship to fBm. An algorithm for the simulation of the Matérn process in O(NlogN) operations is given. Unlike fBm, the Matérn process is found to provide an excellent match to modeling velocities from particle trajectories in an application to two-dimensional fluid turbulence. 

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4. Toward a predictive model of serotonergic densities: A supercomputing simulation of reflected fractional Brownian motion in a 3D-mouse brain shape

   Janusonis, Skirmantas; Haiman, Justin H.; Metzler, Ralf; Vojta, Thomas (July 2023, Organization for Computational Neurosciences (OCNS))

   In vertebrate brains, virtually all neural circuits operate inside a dense matrix of axons (fibers) that have a strongly stochastic character. These fibers originate in the brainstem raphe region, produce highly tortuous trajectories, and release serotonin (5-hydroxytryptamine, 5-HT), with other neurotransmitters. They can robustly regenerate in the adult mammalian brain and appear to support neuroplasticity [1], with implications for mental disorders [2] and artificial neural networks [3]. The self-organization of this “serotonergic” matrix remains poorly understood. In our previous study, we have shown that serotonergic fibers can be modeled as paths of fractional Brownian motion (FBM), a continuous-time stochastic process. FBM is parametrized by the Hurst index, which defines three distinctive regimes: subdiffusion (H < 0.5), normal diffusion (H = 0.5), and superdiffusion (H > 0.5). In two-dimensional (2D) shapes based on the adult mouse brain, simulated FBM-fibers (with H = 0.8) have produced regional distributions similar to those of the actual serotonergic fibers [4]. However, increments of superdiffusive FBM trajectories have long-range positive correlations, which implies that a fiber path in one 2D-section depends on its history in other sections. In a major extension of this study, we used a supercomputing simulation to generate 960 fibers in a complex, three-dimensional shape based on the late-embryonic mouse brain (at embryonic day 17.5). The fibers were modeled as paths of reflected FBM with H = 0.8. The reflection was caused by natural neuroanatomical borders such as the pia and ventricles. The resultant regional densities were compared to the actual fiber densities in the corresponding neuroanatomically-defined regions, based on a recently published comprehensive map [5]. The relative simulated densities showed strong similarities to the actual densities in the telencephalon, diencephalon, and mesencephalon. The current simulation does not include tissue heterogeneities, but it can be further improved with novel models of multifractional FBM, such as the one introduced by our group [6]. The study demonstrates that serotonergic fiber densities can be strongly influenced by the geometry of the brain, with implications for neurodevelopment, neuroplasticity, and brain evolution. Acknowledgements: This research was funded by an NSF-BMBF CRCNS grant (NSF #2112862 to SJ & TV; BMBF #STAXS to RM). References: 1. Lesch KP, Waider J. Serotonin in the modulation of neural plasticity and networks: implications for neurodevelopmental disorders. Neuron. 2012, 76, 175-191. 2. Daws RE, Timmermann C, Giribaldi B, et al. Increased global integration in the brain after psilocybin therapy for depression. Nat. Med. 2022, 28, 844-851. 3. Lee C, Zhang Z, Janušonis S. Brain serotonergic fibers suggest anomalous diffusion-based dropout in artificial neural networks. Front. Neurosci. 2022, 16, 949934. 4. Janušonis S, Detering N, Metzler R, Vojta T. Serotonergic axons as fractional Brownian motion paths: Insights Into the self-organization of regional densities. Front. Comput. Neurosci. 2020, 14, 56. 5. Awasthi JR, Tamada K, Overton ETN, Takumi T. Comprehensive topographical map of the serotonergic fibers in the male mouse brain. J. Comp. Neurol. 2021, 529, 1391-1429. 6. Wang W, Balcerek M, Burnecki K, et al. Memory-multi-fractional Brownian motion with continuous correlation. arXiv. 2023, 2303.01551. 

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5. Limit theorems for process-level Betti numbers for sparse and critical regimes

   https://doi.org/10.1017/apr.2019.50  

   Owada, Takashi; Thomas, Andrew M. (March 2020, Advances in Applied Probability)

   Abstract The objective of this study is to examine the asymptotic behavior of Betti numbers of Čech complexes treated as stochastic processes and formed from random points in the d -dimensional Euclidean space $${\mathbb{R}}^d$$ . We consider the case where the points of the Čech complex are generated by a Poisson process with intensity nf for a probability density f . We look at the cases where the behavior of the connectivity radius of the Čech complex causes simplices of dimension greater than $k+1$ to vanish in probability, the so-called sparse regime, as well when the connectivity radius is of the order of $$n^{-1/d}$$ , the critical regime. We establish limit theorems in the aforementioned regimes: central limit theorems for the sparse and critical regimes, and a Poisson limit theorem for the sparse regime. When the connectivity radius of the Čech complex is $$o(n^{-1/d})$$ , i.e. the sparse regime, we can decompose the limiting processes into a time-changed Brownian motion or a time-changed homogeneous Poisson process respectively. In the critical regime, the limiting process is a centered Gaussian process but has a much more complicated representation, because the Čech complex becomes highly connected with many topological holes of any dimension. 

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